The Brownian Vacancy Driven Walk

Analytic Results for Hopping Models with Excluded Volume Constraint

(ABSTRACT) We analyze the lattice walk performed by a tagged member of an infinite 'sea' of particles filling a d-dimensional lattice, in the presence of a single vacancy. The vacancy is allowed to be occupied with probability 1/2d by any of its 2d nearest neighbors, so that it executs a Brownian walk. Particle-particle exchange is forbidden; the only interaction between them being hard core ex...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Functional Clt for Random Walk among Bounded Random Conductances

ABSTRACT. We consider the nearest-neighbor simple random walk on Z, d ≥ 2, driven by a field of i.i.d. random nearest-neighbor conductances ωxy ∈ [0, 1]. Apart from the requirement that the bonds with positive conductances percolate, we pose no restriction on the law of the ω’s. We prove that, for a.e. realization of the environment, the path distribution of the walk converges weakly to that of...

Strong Approximation of Brownian Motion

Simple random walk and Brownian motion are two strongly interconnected mathematical concepts. They are widely involved in not only pure math, but also in many other scientific fields. In this paper I will first introduce and define some basic concepts of discrete-time random walk. Then I will construct Brownian Motion with some basic properties, and use a method called the strong approximation ...

Numerical approximation of Backward Stochastic Differential Equations with Jumps

In this note we propose a numerical method to approximate the solution of a Backward Stochastic Differential Equations with Jumps (BSDEJ). This method is based on the construction of a discrete BSDEJ driven by a complete system of three orthogonal discrete time-space martingales, the first a random walk converging to a Brownian motion; the second, another random walk, independent of the first o...